SysTutorials Posts

QuantLib::InterpolatedYoYInflationCurve – Inflation term structure based on interpolated year-on-year rates. Synopsis#include <ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp> Inherits QuantLib::YoYInflationTermStructure, and boost::noncopyable. Public Member FunctionsInterpolatedYoYInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, const Handle< YieldTermStructure > &yTS, const std::vector< Date > &dates, const std::vector< Rate > &rates, const Interpolator &interpolator=Interpolator()) InflationTermStructure interface Date baseDate…

QuantLib::InterpolatedHazardRateCurve – interpolated hazard-rate curve Synopsis#include <ql/termstructures/credit/interpolatedhazardratecurve.hpp> Inherits QuantLib::HazardRateStructure, and boost::noncopyable. Public Member FunctionsInterpolatedHazardRateCurve (const std::vector< Date > &dates, const std::vector< Real > &hazardRates, const DayCounter &dayCounter, const Calendar &calendar=Calendar(), const Interpolator &interpolator=Interpolator()) TermStructure interface Date maxDate () const the latest date for which the curve can return values other inspectors const std::vector< Time >…

QuantLib::InterpolatedForwardCurve – Term structure based on interpolation of forward rates. Synopsis#include <ql/termstructures/yield/forwardcurve.hpp> Inherits QuantLib::ForwardRateStructure, and boost::noncopyable. Public Member FunctionsInterpolatedForwardCurve (const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter, const Interpolator &interpolator=Interpolator()) Inspectorsstd::vector< Date > dates_ std::vector< Time > times_ std::vector< Rate > data_ Interpolation interpolation_ Interpolator interpolator_ Date maxDate () const…

QuantLib::InterpolatedDiscountCurve – Term structure based on interpolation of discount factors. Synopsis#include <ql/termstructures/yield/discountcurve.hpp> Inherits QuantLib::YieldTermStructure, and boost::noncopyable. Inherited by ExtendedDiscountCurve. Public Member FunctionsInterpolatedDiscountCurve (const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const DayCounter &dayCounter, const Calendar &cal=Calendar(), const Interpolator &interpolator=Interpolator()) Inspectors Date maxDate () const the latest date for which the curve can return…

QuantLib::InterpolatedDefaultDensityCurve – interpolated default-density curve Synopsis#include <ql/termstructures/credit/interpolateddefaultdensitycurve.hpp> Inherits QuantLib::DefaultDensityStructure, and boost::noncopyable. Public Member FunctionsInterpolatedDefaultDensityCurve (const std::vector< Date > &dates, const std::vector< Real > &densities, const DayCounter &dayCounter, const Calendar &calendar=Calendar(), const Interpolator &interpolator=Interpolator()) TermStructure interface Date maxDate () const the latest date for which the curve can return values other inspectors const std::vector< Time >…

QuantLib::InterestRateVolSurface – Interest rate volatility (smile) surface. Synopsis#include <ql/experimental/volatility/interestratevolsurface.hpp> Inherits QuantLib::BlackVolSurface. Inherited by SabrVolSurface. Public Member Functionsconst boost::shared_ptr< InterestRateIndex > & index () const Constructors See the TermStructure documentation for issues regarding constructors. InterestRateVolSurface (const boost::shared_ptr< InterestRateIndex > &, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) InterestRateVolSurface (const boost::shared_ptr< InterestRateIndex > &, const Date…

QuantLib::InterestRateIndex – base class for interest rate indexes Synopsis#include <ql/indexes/interestrateindex.hpp> Inherits QuantLib::Index, and QuantLib::Observer. Inherited by BMAIndex, IborIndex, and SwapIndex. Public Member FunctionsInterestRateIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &fixingCalendar, const DayCounter &dayCounter) Index interface std::string name () const Returns the name of the index. Calendar fixingCalendar ()…

QuantLib::InterestRate – Concrete interest rate class. Synopsis#include <ql/interestrate.hpp> Public Member Functionsconstructors InterestRate () Default constructor returning a null interest rate. InterestRate (Rate r, const DayCounter &dc=Actual365Fixed(), Compounding comp=Continuous, Frequency freq=Annual) Standard constructor. conversions operator Rate () const inspectors Rate rate () const const DayCounter & dayCounter () const Compounding compounding () const Frequency frequency ()…

QuantLib::IntegralHestonVarianceOptionEngine – integral Heston-model variance-option engine Synopsis#include <ql/experimental/varianceoption/integralhestonvarianceoptionengine.hpp> Inherits QuantLib::VarianceOption::engine. Public Member FunctionsIntegralHestonVarianceOptionEngine (const boost::shared_ptr< HestonProcess > &) void calculate () const Detailed Descriptionintegral Heston-model variance-option engine This engine implements the approach described in <http://www.econ.univpm.it/recchioni/finance/w4/>. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::IntegralEngine – Pricing engine for European vanilla options using integral approach. Synopsis#include <ql/pricingengines/vanilla/integralengine.hpp> Inherits VanillaOption::engine. Public Member FunctionsIntegralEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Detailed DescriptionPricing engine for European vanilla options using integral approach. Possible enhancements define tolerance for calculate() Examples: EquityOption.cpp. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::IntegralCDOEngine – CDO base engine taking (possibly) small time steps. Synopsis#include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits QuantLib::SyntheticCDO::engine. Public Member Functionsvoid calculate () const IntegralCDOEngine (Period stepSize=3 *Months) Protected AttributesPeriod stepSize_ Detailed DescriptionCDO base engine taking (possibly) small time steps. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::Instrument – Abstract instrument class. Synopsis#include <ql/instrument.hpp> Inherits QuantLib::LazyObject. Inherited by Bond, CapFloor, CDO, CdsOption, Commodity, CompositeInstrument, CreditDefaultSwap, Forward, InflationSwap, NthToDefault, Option, PathMultiAssetOption, RiskyAssetSwap, Stock, Swap, SyntheticCDO, VarianceOption, and VarianceSwap. Public Member Functionsvirtual void setupArguments (PricingEngine::arguments *) const virtual void fetchResults (const PricingEngine::results *) const Inspectors Real NPV () const returns the net present value…

QuantLib::InhomogeneousPoolCDOEngine – CDO engine, loss disctribution bucketing for finite inhomogeneous pool. Synopsis#include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits CDOEngine. Public Member FunctionsInhomogeneousPoolCDOEngine (const Handle< OneFactorCopula > copula, Size nBuckets, Period stepSize=1 *Days) Protected Attributesconst Handle< OneFactorCopula > copula_ Size nBuckets_ Detailed Descriptiontemplate<class CDOEngine> class QuantLib::InhomogeneousPoolCDOEngine< CDOEngine >CDO engine, loss disctribution bucketing for finite inhomogeneous pool. AuthorGenerated automatically by Doxygen…

QuantLib::InflationTermStructure – Interface for inflation term structures. Synopsis#include <ql/termstructures/inflationtermstructure.hpp> Inherits QuantLib::TermStructure. Inherited by YoYInflationTermStructure, and ZeroInflationTermStructure. Public Member FunctionsConstructors InflationTermStructure (const Period &lag, Frequency frequency, Rate baseRate, const Handle< YieldTermStructure > &yTS, const DayCounter &dayCounter=DayCounter()) InflationTermStructure (const Date &referenceDate, const Period &lag, Frequency frequency, Rate baseRate, const Handle< YieldTermStructure > &yTS, const Calendar &calendar=Calendar(), const…

QuantLib::InflationSwap – Abstract base class for inflation swaps. Synopsis#include <ql/instruments/inflationswap.hpp> Inherits QuantLib::Instrument. Inherited by YearOnYearInflationSwap, and ZeroCouponInflationSwap. Public Member FunctionsInflationSwap (const Date &start, const Date &maturity, const Period &lag, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< YieldTermStructure > &yieldTS) the constructor sets common data members virtual Rate fairRate () const =0 Inspectors…

QuantLib::InflationIndex – Base class for inflation-rate indexes,. Synopsis#include <ql/indexes/inflationindex.hpp> Inherits QuantLib::Index, and QuantLib::Observer. Inherited by YoYInflationIndex, and ZeroInflationIndex. Public Member FunctionsInflationIndex (const std::string &familyName, const Region &region, bool revised, bool interpolated, Frequency frequency, const Period &availabilitiyLag, const Currency &currency) Index interface std::string name () const Returns the name of the index. Calendar fixingCalendar () const…

QuantLib::Indonesia – Indonesian calendars Synopsis#include <ql/time/calendars/indonesia.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { BEJ, JSX } Public Member FunctionsIndonesia (Market m=BEJ) Detailed DescriptionIndonesian calendars Holidays for the Jakarta stock exchange (data from <http://www.jsx.co.id/>): * Saturdays * Sundays * New Year’s Day, January 1st * Good Friday * Ascension of Jesus Christ * Independence Day, August 17th…

QuantLib::India – Indian calendars. Synopsis#include <ql/time/calendars/india.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { NSE } Public Member FunctionsIndia (Market m=NSE) Detailed DescriptionIndian calendars. Holidays for the National Stock Exchange (data from <http://www.nse-india.com/>): * Saturdays * Sundays * Republic Day, January 26th * Good Friday * Ambedkar Jayanti, April 14th * Independence Day, August 15th * Gandhi…

QuantLib::IndexManager – global repository for past index fixings Synopsis#include <ql/indexes/indexmanager.hpp> Inherits Singleton< IndexManager >. Public Member Functionsbool hasHistory (const std::string &name) const returns whether historical fixings were stored for the index const TimeSeries< Real > & getHistory (const std::string &name) const returns the (possibly empty) history of the index fixings void setHistory (const std::string &name,…

QuantLib::Index – purely virtual base class for indexes Synopsis#include <ql/index.hpp> Inherits QuantLib::Observable. Inherited by InflationIndex, and InterestRateIndex. Public Member Functionsvirtual std::string name () const =0 Returns the name of the index. virtual Calendar fixingCalendar () const =0 returns the calendar defining valid fixing dates virtual bool isValidFixingDate (const Date &fixingDate) const =0 returns TRUE if…